I have found the following bug in Audacity 1.3.4-beta on Mandriva 2008.1, and they have told me it is an upstream bug. So I'm reporting it here:
When you navigate through Konqueror/Nautilus to a folder which has spaces in its path, and open an audio file inside this folder with Audacity (using right-click > Open with...), then audacity will start and show a "file not found" message for each of the parts of the path that are separated by spaces.
It happens the same bug if you type at the console something like the following:
audacity "/home/peter/path with spaces/audiofile.wav"
Notice that I have put the complete path to the file inside quotes.
BUT: if you open Audacity first, and then inside Audacity click on "File > Open" and then navigate to the desired audio file, it opens perfectly.